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07/22/2022
Modelling Equity Transaction Networks as Bursty Processes
Trade executions for major stocks come in bursts of activity, which can ...
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06/12/2022
Deep Reinforcement Learning for Optimal Investment and Saving Strategy Selection in Heterogeneous Profiles: Intelligent Agents working towards retirement
The transition from defined benefit to defined contribution pension plan...
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04/11/2022
Variational Heteroscedastic Volatility Model
We propose Variational Heteroscedastic Volatility Model (VHVM) – an end-...
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02/23/2022
Deep Recurrent Modelling of Granger Causality with Latent Confounding
Inferring causal relationships in observational time series data is an i...
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02/23/2022
Neural Generalised AutoRegressive Conditional Heteroskedasticity
We propose Neural GARCH, a class of methods to model conditional heteros...
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01/25/2022
Structural importance and evolution: an application to financial transaction networks
A fundamental problem in the study of networks is the identification of ...
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01/12/2022
The Recurrent Reinforcement Learning Crypto Agent
We demonstrate an application of online transfer learning as a digital a...
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10/10/2021
Reinforcement Learning for Systematic FX Trading
We conduct a detailed experiment on major cash fx pairs, accurately acco...
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04/26/2021
Stochastic Recurrent Neural Network for Multistep Time Series Forecasting
Time series forecasting based on deep architectures has been gaining pop...
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03/15/2021
Online Learning with Radial Basis Function Networks
We investigate the benefits of feature selection, nonlinear modelling an...
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12/23/2020
Evaluating structural edge importance in temporal networks
To monitor risk in temporal financial networks, we need to understand ho...
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12/30/2017
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
We propose a dynamic network model where two mechanisms control the prob...
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01/20/2017